Yeah, this one's common with new units or after long storage. It's usually harmless off-gassing from internal components.
Run the purifier on the highest fan speed in a well-ventilated room for several hours—a full day is best. The smell should dissipate completely. If it's a brand new unit, this is almost certainly the cause.
IF THAT DIDN'T WORK: If the burning smell is strong, persistent (lasting more than 24-48 hours of continuous run time), or is accompanied by smoke, unplug the unit immediately. That indicates a genuine electrical fault or a foreign object inside contacting something hot. Do not use it.
HEADS UP: Never place the purifier near heat sources or on top of soft surfaces like a bed or rug that could block its vents and cause overheating.